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I'm looking to do something like this where I have multiple Coarse selectors assigning tickers to their own array/list, but I suspect its not properly functioning and backtests are extremely lengthy. Is this the correct way this should be done?
The universe selector:
def Initialize(self):
...
self.XLFsector = []
self.XLEsector = []
self.AddUniverse(self.XLFcoarse, self.XLFfine)
self.AddUniverse(self.XLEcoarse, self.XLEfine)
self.numberOfSymbolsCoarse = 500
self.lastMonth = -1
An example:
def XLFcoarse(self, coarse):
if self.Time.day == self.lastMonth:
return Universe.Unchanged
self.lastMonth = self.Time.day
allCoarse = [x for x in coarse if x.HasFundamentalData and x.Price > 50 and x.Volume > 200000]
finalCoarse = sorted(allCoarse, key = lambda x: x.DollarVolume, reverse = True)
return [x.Symbol for x in finalCoarse][:self.numberOfSymbolsCoarse]
#return self.tickers
def XLFfine(self, fine):
filteredSymbols = []
sortedBySector = [x for x in fine]
for code, g in groupby(sortedBySector, lambda x: x.AssetClassification.MorningstarSectorCode):
for x in sorted(g, key = lambda x: x.ValuationRatios.PERatio, reverse = False)[:2]:
filteredSymbols.append(x.Symbol)
self.XLFsector = filteredSymbols
return filteredSymbols[:3]
3
